@tradejs/node 2.0.9 → 2.0.10

package/dist/backtest.js

@@ -2704,6 +2704,22 @@ var import_backtest = require("@tradejs/core/backtest");
 var import_trade = require("@tradejs/core/trade");
 var import_math = require("@tradejs/core/math");
 var PRICE_PRECISION = 8;
+var normalizeInstrumentOrderQty = ({
+  qty,
+  symbol,
+  instrument
+}) => {
+  if (!instrument || instrument.symbol.trim().toUpperCase() !== symbol.trim().toUpperCase()) {
+    return { qty, minOrderQty: null };
+  }
+  const qtyStep = Number(instrument.venueMetadata?.qtyStep);
+  const minOrderQty = Number(instrument.venueMetadata?.minOrderQty);
+  const normalizedQty = Number.isFinite(qtyStep) && qtyStep > 0 ? Number((Math.floor(qty / qtyStep) * qtyStep).toFixed(12)) : qty;
+  return {
+    qty: normalizedQty,
+    minOrderQty: Number.isFinite(minOrderQty) && minOrderQty > 0 ? minOrderQty : null
+  };
+};
 var createTestConnector = (connector, context) => {
   let state = {};
   const orderLog = [];
@@ -2724,6 +2740,7 @@ var createTestConnector = (connector, context) => {
   let takeProfits = [];
   let stopLossPrice = null;
   let currentTradeResult = null;
+  let currentEntryLegResults = [];
   const closedSignalResults = [];
   const logOrder = (data) => {
     const nextEntry = {
@@ -2767,6 +2784,52 @@ var createTestConnector = (connector, context) => {
     }
     return (previousValue * previousQty + nextValue * nextQty) / (previousQty + nextQty);
   };
+  const createOpenTradeResult = ({
+    signalId,
+    direction,
+    qty,
+    timestamp,
+    requestedEntryPrice,
+    entryPrice,
+    fee,
+    slippageBreakdown,
+    entrySlippageCost
+  }) => ({
+    signalId,
+    direction,
+    qty,
+    closedQty: 0,
+    entryTimestamp: timestamp,
+    exitTimestamp: null,
+    exitReason: null,
+    requestedEntryPrice,
+    entryPrice,
+    requestedExitPrice: null,
+    exitPrice: null,
+    grossProfit: 0,
+    netProfit: -fee,
+    openFee: fee,
+    closeFee: 0,
+    fundingFee: executionCostModel?.funding.enabled ? 0 : null,
+    totalFee: fee,
+    entrySlippagePrice: entryPrice - requestedEntryPrice,
+    entrySlippageBps: getSlippageBps(requestedEntryPrice, entryPrice),
+    entryBaseSlippageBps: slippageBreakdown.baseSlippageBps,
+    entrySpreadBps: slippageBreakdown.spreadBps,
+    entrySpreadSlippageBps: slippageBreakdown.spreadSlippageBps,
+    entryMarketImpactBps: slippageBreakdown.marketImpactBps,
+    entryDelayRiskBps: slippageBreakdown.delayRiskBps,
+    entrySlippageCost,
+    exitSlippagePrice: null,
+    exitSlippageBps: null,
+    exitBaseSlippageBps: null,
+    exitSpreadBps: null,
+    exitSpreadSlippageBps: null,
+    exitMarketImpactBps: null,
+    exitDelayRiskBps: null,
+    exitSlippageCost: 0,
+    totalSlippageCost: entrySlippageCost
+  });
   const finalizeTradeResult = (tradeResult, timestamp) => {
     if (!tradeResult.exitReason) {
       return void 0;
@@ -2806,7 +2869,9 @@ var createTestConnector = (connector, context) => {
       closedQty: (0, import_math.round)(tradeResult.closedQty)
     };
   };
-  const recordExitResult = ({
+  const appendExitToTradeResult = ({
+    tradeResult,
+    direction,
     timestamp,
     reason,
     requestedPrice,
@@ -2816,65 +2881,62 @@ var createTestConnector = (connector, context) => {
     fee,
     slippageBreakdown
   }) => {
-    if (!currentTradeResult || !currentPosition) {
-      return;
-    }
-    const previousClosedQty = currentTradeResult.closedQty;
+    const previousClosedQty = tradeResult.closedQty;
     const requestedExitPrice = getWeightedAverage(
-      currentTradeResult.requestedExitPrice,
+      tradeResult.requestedExitPrice,
       previousClosedQty,
       requestedPrice,
       qty
     );
     const exitPrice = getWeightedAverage(
-      currentTradeResult.exitPrice,
+      tradeResult.exitPrice,
       previousClosedQty,
       executionPrice,
       qty
     );
     const exitBaseSlippageBps = getWeightedAverage(
-      currentTradeResult.exitBaseSlippageBps,
+      tradeResult.exitBaseSlippageBps,
       previousClosedQty,
       slippageBreakdown.baseSlippageBps,
       qty
     );
     const exitSpreadBps = getWeightedAverage(
-      currentTradeResult.exitSpreadBps,
+      tradeResult.exitSpreadBps,
       previousClosedQty,
       slippageBreakdown.spreadBps,
       qty
     );
     const exitSpreadSlippageBps = getWeightedAverage(
-      currentTradeResult.exitSpreadSlippageBps,
+      tradeResult.exitSpreadSlippageBps,
       previousClosedQty,
       slippageBreakdown.spreadSlippageBps,
       qty
     );
     const exitMarketImpactBps = getWeightedAverage(
-      currentTradeResult.exitMarketImpactBps,
+      tradeResult.exitMarketImpactBps,
       previousClosedQty,
       slippageBreakdown.marketImpactBps,
       qty
     );
     const exitDelayRiskBps = null;
-    const exitSlippageCost = currentTradeResult.exitSlippageCost + getSlippageCost({
+    const exitSlippageCost = tradeResult.exitSlippageCost + getSlippageCost({
       requestedPrice,
       executionPrice,
-      direction: currentPosition.direction,
+      direction,
       stage: "exit",
       qty
     });
-    currentTradeResult = {
-      ...currentTradeResult,
+    return {
+      ...tradeResult,
       closedQty: previousClosedQty + qty,
       exitTimestamp: timestamp,
       exitReason: reason,
       requestedExitPrice,
       exitPrice,
-      grossProfit: currentTradeResult.grossProfit + grossProfit,
-      netProfit: currentTradeResult.netProfit + grossProfit - fee,
-      closeFee: currentTradeResult.closeFee + fee,
-      totalFee: currentTradeResult.openFee + currentTradeResult.closeFee + fee + (currentTradeResult.fundingFee ?? 0),
+      grossProfit: tradeResult.grossProfit + grossProfit,
+      netProfit: tradeResult.netProfit + grossProfit - fee,
+      closeFee: tradeResult.closeFee + fee,
+      totalFee: tradeResult.openFee + tradeResult.closeFee + fee + (tradeResult.fundingFee ?? 0),
       exitSlippagePrice: exitPrice - requestedExitPrice,
       exitSlippageBps: getSlippageBps(requestedExitPrice, exitPrice),
       exitBaseSlippageBps,
@@ -2883,9 +2945,73 @@ var createTestConnector = (connector, context) => {
       exitMarketImpactBps,
       exitDelayRiskBps,
       exitSlippageCost,
-      totalSlippageCost: currentTradeResult.entrySlippageCost + exitSlippageCost
+      totalSlippageCost: tradeResult.entrySlippageCost + exitSlippageCost
     };
   };
+  const recordExitResult = ({
+    timestamp,
+    reason,
+    requestedPrice,
+    executionPrice,
+    qty,
+    grossProfit,
+    fee,
+    slippageBreakdown
+  }) => {
+    if (!currentPosition) {
+      return;
+    }
+    if (currentTradeResult) {
+      currentTradeResult = appendExitToTradeResult({
+        tradeResult: currentTradeResult,
+        direction: currentPosition.direction,
+        timestamp,
+        reason,
+        requestedPrice,
+        executionPrice,
+        qty,
+        grossProfit,
+        fee,
+        slippageBreakdown
+      });
+    }
+    const remainingQtyByLeg = currentEntryLegResults.map(
+      (tradeResult) => Math.max(0, tradeResult.qty - tradeResult.closedQty)
+    );
+    const totalRemainingQty = remainingQtyByLeg.reduce(
+      (total, remainingQty) => total + remainingQty,
+      0
+    );
+    if (totalRemainingQty <= 0) {
+      return;
+    }
+    let allocatedQty = 0;
+    const activeLegIndexes = remainingQtyByLeg.map((remainingQty, index) => ({ remainingQty, index })).filter(({ remainingQty }) => remainingQty > 0);
+    for (const [activeIndex, leg] of activeLegIndexes.entries()) {
+      const isLast = activeIndex === activeLegIndexes.length - 1;
+      const legExitQty = Math.min(
+        leg.remainingQty,
+        isLast ? Math.max(0, qty - allocatedQty) : qty * (leg.remainingQty / totalRemainingQty)
+      );
+      if (legExitQty <= 0) continue;
+      allocatedQty += legExitQty;
+      const legResult = currentEntryLegResults[leg.index];
+      const legGrossProfit = currentPosition.direction === "LONG" ? (executionPrice - legResult.entryPrice) * legExitQty : (legResult.entryPrice - executionPrice) * legExitQty;
+      const legFee = executionPrice * legExitQty * takerFeeRate;
+      currentEntryLegResults[leg.index] = appendExitToTradeResult({
+        tradeResult: legResult,
+        direction: currentPosition.direction,
+        timestamp,
+        reason,
+        requestedPrice,
+        executionPrice,
+        qty: legExitQty,
+        grossProfit: legGrossProfit,
+        fee: legFee,
+        slippageBreakdown
+      });
+    }
+  };
   const clearPosition = (timestamp) => {
     takeProfits = [];
     stopLossPrice = null;
@@ -2894,7 +3020,18 @@ var createTestConnector = (connector, context) => {
       return;
     }
     if (context?.mlEnabled || context?.aiEnabled) {
-      if (currentSignalId) {
+      const attributedResults = currentEntryLegResults.filter(({ signalId }) => signalId).map((tradeResult) => finalizeTradeResult(tradeResult, timestamp)).filter(
+        (tradeResult) => Boolean(tradeResult)
+      );
+      if (attributedResults.length) {
+        for (const tradeResult of attributedResults) {
+          closedSignalResults.push({
+            signalId: tradeResult.signalId,
+            profit: (0, import_math.round)(tradeResult.netProfit),
+            tradeResult
+          });
+        }
+      } else if (currentSignalId) {
         const tradeResult = currentTradeResult ? finalizeTradeResult(currentTradeResult, timestamp) : void 0;
         closedSignalResults.push({
           signalId: currentSignalId,
@@ -2917,6 +3054,7 @@ var createTestConnector = (connector, context) => {
     currentPosition = null;
     currentSignalId = null;
     currentTradeResult = null;
+    currentEntryLegResults = [];
     currentPositionProfit = 0;
   };
   const getNetProfit = ({
@@ -2949,6 +3087,25 @@ var createTestConnector = (connector, context) => {
         currentTradeResult.netProfit -= fundingCost;
         currentTradeResult.totalFee += fundingCost;
       }
+      const remainingLegQty = currentEntryLegResults.reduce(
+        (total, tradeResult) => total + Math.max(0, tradeResult.qty - tradeResult.closedQty),
+        0
+      );
+      if (remainingLegQty > 0) {
+        currentEntryLegResults = currentEntryLegResults.map((tradeResult) => {
+          const activeQty = Math.max(
+            0,
+            tradeResult.qty - tradeResult.closedQty
+          );
+          const legFundingCost = fundingCost * (activeQty / remainingLegQty);
+          return {
+            ...tradeResult,
+            fundingFee: tradeResult.fundingFee == null ? null : tradeResult.fundingFee + legFundingCost,
+            netProfit: tradeResult.netProfit - legFundingCost,
+            totalFee: tradeResult.totalFee + legFundingCost
+          };
+        });
+      }
     }
   };
   const getExitTimestamp = (candle) => currentPosition ? Math.max(candle.timestamp, currentPosition.timestamp) : candle.timestamp;
@@ -3281,6 +3438,24 @@ var createTestConnector = (connector, context) => {
       if (currentPosition && !isPositionIncrease) {
         return false;
       }
+      const normalizedOrder = normalizeInstrumentOrderQty({
+        qty: order.qty,
+        symbol: order.symbol,
+        instrument: context?.instrument
+      });
+      const orderQty = normalizedOrder.qty;
+      if (orderQty <= 0 || normalizedOrder.minOrderQty != null && orderQty < normalizedOrder.minOrderQty) {
+        if (order.signal) {
+          order.signal.orderQty = orderQty;
+          order.signal.orderValue = orderQty * order.price;
+          order.signal.orderFailureReason = "QTY_BELOW_MIN_ORDER";
+        }
+        return false;
+      }
+      if (order.signal) {
+        order.signal.orderQty = orderQty;
+        order.signal.orderValue = orderQty * order.price;
+      }
       const isLong = order.direction === "LONG";
       const entrySlippageBreakdown = getExecutionSlippageBreakdown({
         stage: "entry",
@@ -3294,24 +3469,24 @@ var createTestConnector = (connector, context) => {
       });
       const previousPosition = currentPosition;
       const previousQty = previousPosition?.qty ?? 0;
-      const resultingQty = previousQty + order.qty;
+      const resultingQty = previousQty + orderQty;
       const resultingEntryPrice = previousPosition ? getWeightedAverage(
         previousPosition.price,
         previousQty,
         entryPrice,
-        order.qty
+        orderQty
       ) : entryPrice;
       currentPosition = previousPosition ? {
         ...previousPosition,
         qty: resultingQty,
         price: resultingEntryPrice
-      } : { ...order, price: entryPrice, amount };
+      } : { ...order, qty: orderQty, price: entryPrice, amount };
       originalQty = resultingQty;
       if (isPositionIncrease) {
         const { fee: fee2, profit: profit2 } = getNetProfit({
           grossProfit: 0,
           price: entryPrice,
-          qty: order.qty,
+          qty: orderQty,
           feeRate: order.isLimit ? makerFeeRate : takerFeeRate
         });
         const entrySlippageCost2 = getSlippageCost({
@@ -3319,57 +3494,71 @@ var createTestConnector = (connector, context) => {
           executionPrice: entryPrice,
           direction: order.direction,
           stage: "entry",
-          qty: order.qty
+          qty: orderQty
         });
+        const increaseSignalId = typeof order.signal?.signalId === "string" && order.signal.signalId ? order.signal.signalId : "";
         amount += profit2;
         currentPositionProfit += profit2;
+        currentEntryLegResults.push(
+          createOpenTradeResult({
+            signalId: increaseSignalId,
+            direction: order.direction,
+            qty: orderQty,
+            timestamp: order.timestamp,
+            requestedEntryPrice: order.price,
+            entryPrice,
+            fee: fee2,
+            slippageBreakdown: entrySlippageBreakdown,
+            entrySlippageCost: entrySlippageCost2
+          })
+        );
         if (currentTradeResult) {
           const requestedEntryPrice = getWeightedAverage(
             currentTradeResult.requestedEntryPrice,
             currentTradeResult.qty,
             order.price,
-            order.qty
+            orderQty
           );
           const weightedEntryPrice = getWeightedAverage(
             currentTradeResult.entryPrice,
             currentTradeResult.qty,
             entryPrice,
-            order.qty
+            orderQty
           );
           const entryBaseSlippageBps = getWeightedAverage(
             currentTradeResult.entryBaseSlippageBps,
             currentTradeResult.qty,
             entrySlippageBreakdown.baseSlippageBps,
-            order.qty
+            orderQty
           );
           const entrySpreadBps = getWeightedAverage(
             currentTradeResult.entrySpreadBps,
             currentTradeResult.qty,
             entrySlippageBreakdown.spreadBps,
-            order.qty
+            orderQty
           );
           const entrySpreadSlippageBps = getWeightedAverage(
             currentTradeResult.entrySpreadSlippageBps,
             currentTradeResult.qty,
             entrySlippageBreakdown.spreadSlippageBps,
-            order.qty
+            orderQty
           );
           const entryMarketImpactBps = getWeightedAverage(
             currentTradeResult.entryMarketImpactBps,
             currentTradeResult.qty,
             entrySlippageBreakdown.marketImpactBps,
-            order.qty
+            orderQty
           );
           const entryDelayRiskBps = getWeightedAverage(
             currentTradeResult.entryDelayRiskBps,
             currentTradeResult.qty,
             entrySlippageBreakdown.delayRiskBps,
-            order.qty
+            orderQty
           );
           const totalEntrySlippageCost = currentTradeResult.entrySlippageCost + entrySlippageCost2;
           currentTradeResult = {
             ...currentTradeResult,
-            qty: currentTradeResult.qty + order.qty,
+            qty: currentTradeResult.qty + orderQty,
             requestedEntryPrice,
             entryPrice: weightedEntryPrice,
             netProfit: currentTradeResult.netProfit + profit2,
@@ -3391,6 +3580,7 @@ var createTestConnector = (connector, context) => {
         }
         logOrder({
           ...order,
+          qty: orderQty,
           price: entryPrice,
           profit: profit2,
           fee: fee2,
@@ -3403,7 +3593,7 @@ var createTestConnector = (connector, context) => {
       const { fee, profit } = getNetProfit({
         grossProfit: 0,
         price: entryPrice,
-        qty: order.qty,
+        qty: orderQty,
         feeRate: order.isLimit ? makerFeeRate : takerFeeRate
       });
       const entrySlippageCost = getSlippageCost({
@@ -3411,48 +3601,26 @@ var createTestConnector = (connector, context) => {
         executionPrice: entryPrice,
         direction: order.direction,
         stage: "entry",
-        qty: order.qty
+        qty: orderQty
       });
       amount += profit;
       currentPositionProfit = profit;
-      currentTradeResult = currentSignalId ? {
-        signalId: currentSignalId,
+      const openTradeResult = createOpenTradeResult({
+        signalId: currentSignalId ?? "",
         direction: order.direction,
-        qty: order.qty,
-        closedQty: 0,
-        entryTimestamp: order.timestamp,
-        exitTimestamp: null,
-        exitReason: null,
+        qty: orderQty,
+        timestamp: order.timestamp,
         requestedEntryPrice: order.price,
         entryPrice,
-        requestedExitPrice: null,
-        exitPrice: null,
-        grossProfit: 0,
-        netProfit: profit,
-        openFee: fee,
-        closeFee: 0,
-        fundingFee: executionCostModel?.funding.enabled ? 0 : null,
-        totalFee: fee,
-        entrySlippagePrice: entryPrice - order.price,
-        entrySlippageBps: getSlippageBps(order.price, entryPrice),
-        entryBaseSlippageBps: entrySlippageBreakdown.baseSlippageBps,
-        entrySpreadBps: entrySlippageBreakdown.spreadBps,
-        entrySpreadSlippageBps: entrySlippageBreakdown.spreadSlippageBps,
-        entryMarketImpactBps: entrySlippageBreakdown.marketImpactBps,
-        entryDelayRiskBps: entrySlippageBreakdown.delayRiskBps,
-        entrySlippageCost,
-        exitSlippagePrice: null,
-        exitSlippageBps: null,
-        exitBaseSlippageBps: null,
-        exitSpreadBps: null,
-        exitSpreadSlippageBps: null,
-        exitMarketImpactBps: null,
-        exitDelayRiskBps: null,
-        exitSlippageCost: 0,
-        totalSlippageCost: entrySlippageCost
-      } : null;
+        fee,
+        slippageBreakdown: entrySlippageBreakdown,
+        entrySlippageCost
+      });
+      currentEntryLegResults = [openTradeResult];
+      currentTradeResult = currentSignalId ? { ...openTradeResult, signalId: currentSignalId } : null;
       logOrder({
         ...order,
+        qty: orderQty,
         price: entryPrice,
         profit,
         fee,
@@ -4436,6 +4604,7 @@ var testing = async ({
     mlEnabled: ml,
     aiEnabled: ai,
     fastMode: fast,
+    instrument,
     executionCostModel,
     fundingRates
   });
@@ -4846,6 +5015,7 @@ var testingGroupInSharedCandleLoop = async (tests) => {
         mlEnabled: test.ml,
         aiEnabled: test.ai,
         fastMode: test.fast,
+        instrument,
         executionCostModel,
         fundingRates
       });

package/dist/backtest.mjs

@@ -57,6 +57,22 @@ import {
 } from "@tradejs/core/trade";
 import { round } from "@tradejs/core/math";
 var PRICE_PRECISION = 8;
+var normalizeInstrumentOrderQty = ({
+  qty,
+  symbol,
+  instrument
+}) => {
+  if (!instrument || instrument.symbol.trim().toUpperCase() !== symbol.trim().toUpperCase()) {
+    return { qty, minOrderQty: null };
+  }
+  const qtyStep = Number(instrument.venueMetadata?.qtyStep);
+  const minOrderQty = Number(instrument.venueMetadata?.minOrderQty);
+  const normalizedQty = Number.isFinite(qtyStep) && qtyStep > 0 ? Number((Math.floor(qty / qtyStep) * qtyStep).toFixed(12)) : qty;
+  return {
+    qty: normalizedQty,
+    minOrderQty: Number.isFinite(minOrderQty) && minOrderQty > 0 ? minOrderQty : null
+  };
+};
 var createTestConnector = (connector, context) => {
   let state = {};
   const orderLog = [];
@@ -77,6 +93,7 @@ var createTestConnector = (connector, context) => {
   let takeProfits = [];
   let stopLossPrice = null;
   let currentTradeResult = null;
+  let currentEntryLegResults = [];
   const closedSignalResults = [];
   const logOrder = (data) => {
     const nextEntry = {
@@ -120,6 +137,52 @@ var createTestConnector = (connector, context) => {
     }
     return (previousValue * previousQty + nextValue * nextQty) / (previousQty + nextQty);
   };
+  const createOpenTradeResult = ({
+    signalId,
+    direction,
+    qty,
+    timestamp,
+    requestedEntryPrice,
+    entryPrice,
+    fee,
+    slippageBreakdown,
+    entrySlippageCost
+  }) => ({
+    signalId,
+    direction,
+    qty,
+    closedQty: 0,
+    entryTimestamp: timestamp,
+    exitTimestamp: null,
+    exitReason: null,
+    requestedEntryPrice,
+    entryPrice,
+    requestedExitPrice: null,
+    exitPrice: null,
+    grossProfit: 0,
+    netProfit: -fee,
+    openFee: fee,
+    closeFee: 0,
+    fundingFee: executionCostModel?.funding.enabled ? 0 : null,
+    totalFee: fee,
+    entrySlippagePrice: entryPrice - requestedEntryPrice,
+    entrySlippageBps: getSlippageBps(requestedEntryPrice, entryPrice),
+    entryBaseSlippageBps: slippageBreakdown.baseSlippageBps,
+    entrySpreadBps: slippageBreakdown.spreadBps,
+    entrySpreadSlippageBps: slippageBreakdown.spreadSlippageBps,
+    entryMarketImpactBps: slippageBreakdown.marketImpactBps,
+    entryDelayRiskBps: slippageBreakdown.delayRiskBps,
+    entrySlippageCost,
+    exitSlippagePrice: null,
+    exitSlippageBps: null,
+    exitBaseSlippageBps: null,
+    exitSpreadBps: null,
+    exitSpreadSlippageBps: null,
+    exitMarketImpactBps: null,
+    exitDelayRiskBps: null,
+    exitSlippageCost: 0,
+    totalSlippageCost: entrySlippageCost
+  });
   const finalizeTradeResult = (tradeResult, timestamp) => {
     if (!tradeResult.exitReason) {
       return void 0;
@@ -159,7 +222,9 @@ var createTestConnector = (connector, context) => {
       closedQty: round(tradeResult.closedQty)
     };
   };
-  const recordExitResult = ({
+  const appendExitToTradeResult = ({
+    tradeResult,
+    direction,
     timestamp,
     reason,
     requestedPrice,
@@ -169,65 +234,62 @@ var createTestConnector = (connector, context) => {
     fee,
     slippageBreakdown
   }) => {
-    if (!currentTradeResult || !currentPosition) {
-      return;
-    }
-    const previousClosedQty = currentTradeResult.closedQty;
+    const previousClosedQty = tradeResult.closedQty;
     const requestedExitPrice = getWeightedAverage(
-      currentTradeResult.requestedExitPrice,
+      tradeResult.requestedExitPrice,
       previousClosedQty,
       requestedPrice,
       qty
     );
     const exitPrice = getWeightedAverage(
-      currentTradeResult.exitPrice,
+      tradeResult.exitPrice,
       previousClosedQty,
       executionPrice,
       qty
     );
     const exitBaseSlippageBps = getWeightedAverage(
-      currentTradeResult.exitBaseSlippageBps,
+      tradeResult.exitBaseSlippageBps,
       previousClosedQty,
       slippageBreakdown.baseSlippageBps,
       qty
     );
     const exitSpreadBps = getWeightedAverage(
-      currentTradeResult.exitSpreadBps,
+      tradeResult.exitSpreadBps,
       previousClosedQty,
       slippageBreakdown.spreadBps,
       qty
     );
     const exitSpreadSlippageBps = getWeightedAverage(
-      currentTradeResult.exitSpreadSlippageBps,
+      tradeResult.exitSpreadSlippageBps,
       previousClosedQty,
       slippageBreakdown.spreadSlippageBps,
       qty
     );
     const exitMarketImpactBps = getWeightedAverage(
-      currentTradeResult.exitMarketImpactBps,
+      tradeResult.exitMarketImpactBps,
       previousClosedQty,
       slippageBreakdown.marketImpactBps,
       qty
     );
     const exitDelayRiskBps = null;
-    const exitSlippageCost = currentTradeResult.exitSlippageCost + getSlippageCost({
+    const exitSlippageCost = tradeResult.exitSlippageCost + getSlippageCost({
       requestedPrice,
       executionPrice,
-      direction: currentPosition.direction,
+      direction,
       stage: "exit",
       qty
     });
-    currentTradeResult = {
-      ...currentTradeResult,
+    return {
+      ...tradeResult,
       closedQty: previousClosedQty + qty,
       exitTimestamp: timestamp,
       exitReason: reason,
       requestedExitPrice,
       exitPrice,
-      grossProfit: currentTradeResult.grossProfit + grossProfit,
-      netProfit: currentTradeResult.netProfit + grossProfit - fee,
-      closeFee: currentTradeResult.closeFee + fee,
-      totalFee: currentTradeResult.openFee + currentTradeResult.closeFee + fee + (currentTradeResult.fundingFee ?? 0),
+      grossProfit: tradeResult.grossProfit + grossProfit,
+      netProfit: tradeResult.netProfit + grossProfit - fee,
+      closeFee: tradeResult.closeFee + fee,
+      totalFee: tradeResult.openFee + tradeResult.closeFee + fee + (tradeResult.fundingFee ?? 0),
       exitSlippagePrice: exitPrice - requestedExitPrice,
       exitSlippageBps: getSlippageBps(requestedExitPrice, exitPrice),
       exitBaseSlippageBps,
@@ -236,9 +298,73 @@ var createTestConnector = (connector, context) => {
       exitMarketImpactBps,
       exitDelayRiskBps,
       exitSlippageCost,
-      totalSlippageCost: currentTradeResult.entrySlippageCost + exitSlippageCost
+      totalSlippageCost: tradeResult.entrySlippageCost + exitSlippageCost
     };
   };
+  const recordExitResult = ({
+    timestamp,
+    reason,
+    requestedPrice,
+    executionPrice,
+    qty,
+    grossProfit,
+    fee,
+    slippageBreakdown
+  }) => {
+    if (!currentPosition) {
+      return;
+    }
+    if (currentTradeResult) {
+      currentTradeResult = appendExitToTradeResult({
+        tradeResult: currentTradeResult,
+        direction: currentPosition.direction,
+        timestamp,
+        reason,
+        requestedPrice,
+        executionPrice,
+        qty,
+        grossProfit,
+        fee,
+        slippageBreakdown
+      });
+    }
+    const remainingQtyByLeg = currentEntryLegResults.map(
+      (tradeResult) => Math.max(0, tradeResult.qty - tradeResult.closedQty)
+    );
+    const totalRemainingQty = remainingQtyByLeg.reduce(
+      (total, remainingQty) => total + remainingQty,
+      0
+    );
+    if (totalRemainingQty <= 0) {
+      return;
+    }
+    let allocatedQty = 0;
+    const activeLegIndexes = remainingQtyByLeg.map((remainingQty, index) => ({ remainingQty, index })).filter(({ remainingQty }) => remainingQty > 0);
+    for (const [activeIndex, leg] of activeLegIndexes.entries()) {
+      const isLast = activeIndex === activeLegIndexes.length - 1;
+      const legExitQty = Math.min(
+        leg.remainingQty,
+        isLast ? Math.max(0, qty - allocatedQty) : qty * (leg.remainingQty / totalRemainingQty)
+      );
+      if (legExitQty <= 0) continue;
+      allocatedQty += legExitQty;
+      const legResult = currentEntryLegResults[leg.index];
+      const legGrossProfit = currentPosition.direction === "LONG" ? (executionPrice - legResult.entryPrice) * legExitQty : (legResult.entryPrice - executionPrice) * legExitQty;
+      const legFee = executionPrice * legExitQty * takerFeeRate;
+      currentEntryLegResults[leg.index] = appendExitToTradeResult({
+        tradeResult: legResult,
+        direction: currentPosition.direction,
+        timestamp,
+        reason,
+        requestedPrice,
+        executionPrice,
+        qty: legExitQty,
+        grossProfit: legGrossProfit,
+        fee: legFee,
+        slippageBreakdown
+      });
+    }
+  };
   const clearPosition = (timestamp) => {
     takeProfits = [];
     stopLossPrice = null;
@@ -247,7 +373,18 @@ var createTestConnector = (connector, context) => {
       return;
     }
     if (context?.mlEnabled || context?.aiEnabled) {
-      if (currentSignalId) {
+      const attributedResults = currentEntryLegResults.filter(({ signalId }) => signalId).map((tradeResult) => finalizeTradeResult(tradeResult, timestamp)).filter(
+        (tradeResult) => Boolean(tradeResult)
+      );
+      if (attributedResults.length) {
+        for (const tradeResult of attributedResults) {
+          closedSignalResults.push({
+            signalId: tradeResult.signalId,
+            profit: round(tradeResult.netProfit),
+            tradeResult
+          });
+        }
+      } else if (currentSignalId) {
         const tradeResult = currentTradeResult ? finalizeTradeResult(currentTradeResult, timestamp) : void 0;
         closedSignalResults.push({
           signalId: currentSignalId,
@@ -270,6 +407,7 @@ var createTestConnector = (connector, context) => {
     currentPosition = null;
     currentSignalId = null;
     currentTradeResult = null;
+    currentEntryLegResults = [];
     currentPositionProfit = 0;
   };
   const getNetProfit = ({
@@ -302,6 +440,25 @@ var createTestConnector = (connector, context) => {
         currentTradeResult.netProfit -= fundingCost;
         currentTradeResult.totalFee += fundingCost;
       }
+      const remainingLegQty = currentEntryLegResults.reduce(
+        (total, tradeResult) => total + Math.max(0, tradeResult.qty - tradeResult.closedQty),
+        0
+      );
+      if (remainingLegQty > 0) {
+        currentEntryLegResults = currentEntryLegResults.map((tradeResult) => {
+          const activeQty = Math.max(
+            0,
+            tradeResult.qty - tradeResult.closedQty
+          );
+          const legFundingCost = fundingCost * (activeQty / remainingLegQty);
+          return {
+            ...tradeResult,
+            fundingFee: tradeResult.fundingFee == null ? null : tradeResult.fundingFee + legFundingCost,
+            netProfit: tradeResult.netProfit - legFundingCost,
+            totalFee: tradeResult.totalFee + legFundingCost
+          };
+        });
+      }
     }
   };
   const getExitTimestamp = (candle) => currentPosition ? Math.max(candle.timestamp, currentPosition.timestamp) : candle.timestamp;
@@ -634,6 +791,24 @@ var createTestConnector = (connector, context) => {
       if (currentPosition && !isPositionIncrease) {
         return false;
       }
+      const normalizedOrder = normalizeInstrumentOrderQty({
+        qty: order.qty,
+        symbol: order.symbol,
+        instrument: context?.instrument
+      });
+      const orderQty = normalizedOrder.qty;
+      if (orderQty <= 0 || normalizedOrder.minOrderQty != null && orderQty < normalizedOrder.minOrderQty) {
+        if (order.signal) {
+          order.signal.orderQty = orderQty;
+          order.signal.orderValue = orderQty * order.price;
+          order.signal.orderFailureReason = "QTY_BELOW_MIN_ORDER";
+        }
+        return false;
+      }
+      if (order.signal) {
+        order.signal.orderQty = orderQty;
+        order.signal.orderValue = orderQty * order.price;
+      }
       const isLong = order.direction === "LONG";
       const entrySlippageBreakdown = getExecutionSlippageBreakdown({
         stage: "entry",
@@ -647,24 +822,24 @@ var createTestConnector = (connector, context) => {
       });
       const previousPosition = currentPosition;
       const previousQty = previousPosition?.qty ?? 0;
-      const resultingQty = previousQty + order.qty;
+      const resultingQty = previousQty + orderQty;
       const resultingEntryPrice = previousPosition ? getWeightedAverage(
         previousPosition.price,
         previousQty,
         entryPrice,
-        order.qty
+        orderQty
       ) : entryPrice;
       currentPosition = previousPosition ? {
         ...previousPosition,
         qty: resultingQty,
         price: resultingEntryPrice
-      } : { ...order, price: entryPrice, amount };
+      } : { ...order, qty: orderQty, price: entryPrice, amount };
       originalQty = resultingQty;
       if (isPositionIncrease) {
         const { fee: fee2, profit: profit2 } = getNetProfit({
           grossProfit: 0,
           price: entryPrice,
-          qty: order.qty,
+          qty: orderQty,
           feeRate: order.isLimit ? makerFeeRate : takerFeeRate
         });
         const entrySlippageCost2 = getSlippageCost({
@@ -672,57 +847,71 @@ var createTestConnector = (connector, context) => {
           executionPrice: entryPrice,
           direction: order.direction,
           stage: "entry",
-          qty: order.qty
+          qty: orderQty
         });
+        const increaseSignalId = typeof order.signal?.signalId === "string" && order.signal.signalId ? order.signal.signalId : "";
         amount += profit2;
         currentPositionProfit += profit2;
+        currentEntryLegResults.push(
+          createOpenTradeResult({
+            signalId: increaseSignalId,
+            direction: order.direction,
+            qty: orderQty,
+            timestamp: order.timestamp,
+            requestedEntryPrice: order.price,
+            entryPrice,
+            fee: fee2,
+            slippageBreakdown: entrySlippageBreakdown,
+            entrySlippageCost: entrySlippageCost2
+          })
+        );
         if (currentTradeResult) {
           const requestedEntryPrice = getWeightedAverage(
             currentTradeResult.requestedEntryPrice,
             currentTradeResult.qty,
             order.price,
-            order.qty
+            orderQty
           );
           const weightedEntryPrice = getWeightedAverage(
             currentTradeResult.entryPrice,
             currentTradeResult.qty,
             entryPrice,
-            order.qty
+            orderQty
           );
           const entryBaseSlippageBps = getWeightedAverage(
             currentTradeResult.entryBaseSlippageBps,
             currentTradeResult.qty,
             entrySlippageBreakdown.baseSlippageBps,
-            order.qty
+            orderQty
           );
           const entrySpreadBps = getWeightedAverage(
             currentTradeResult.entrySpreadBps,
             currentTradeResult.qty,
             entrySlippageBreakdown.spreadBps,
-            order.qty
+            orderQty
           );
           const entrySpreadSlippageBps = getWeightedAverage(
             currentTradeResult.entrySpreadSlippageBps,
             currentTradeResult.qty,
             entrySlippageBreakdown.spreadSlippageBps,
-            order.qty
+            orderQty
           );
           const entryMarketImpactBps = getWeightedAverage(
             currentTradeResult.entryMarketImpactBps,
             currentTradeResult.qty,
             entrySlippageBreakdown.marketImpactBps,
-            order.qty
+            orderQty
           );
           const entryDelayRiskBps = getWeightedAverage(
             currentTradeResult.entryDelayRiskBps,
             currentTradeResult.qty,
             entrySlippageBreakdown.delayRiskBps,
-            order.qty
+            orderQty
           );
           const totalEntrySlippageCost = currentTradeResult.entrySlippageCost + entrySlippageCost2;
           currentTradeResult = {
             ...currentTradeResult,
-            qty: currentTradeResult.qty + order.qty,
+            qty: currentTradeResult.qty + orderQty,
             requestedEntryPrice,
             entryPrice: weightedEntryPrice,
             netProfit: currentTradeResult.netProfit + profit2,
@@ -744,6 +933,7 @@ var createTestConnector = (connector, context) => {
         }
         logOrder({
           ...order,
+          qty: orderQty,
           price: entryPrice,
           profit: profit2,
           fee: fee2,
@@ -756,7 +946,7 @@ var createTestConnector = (connector, context) => {
       const { fee, profit } = getNetProfit({
         grossProfit: 0,
         price: entryPrice,
-        qty: order.qty,
+        qty: orderQty,
         feeRate: order.isLimit ? makerFeeRate : takerFeeRate
       });
       const entrySlippageCost = getSlippageCost({
@@ -764,48 +954,26 @@ var createTestConnector = (connector, context) => {
         executionPrice: entryPrice,
         direction: order.direction,
         stage: "entry",
-        qty: order.qty
+        qty: orderQty
       });
       amount += profit;
       currentPositionProfit = profit;
-      currentTradeResult = currentSignalId ? {
-        signalId: currentSignalId,
+      const openTradeResult = createOpenTradeResult({
+        signalId: currentSignalId ?? "",
         direction: order.direction,
-        qty: order.qty,
-        closedQty: 0,
-        entryTimestamp: order.timestamp,
-        exitTimestamp: null,
-        exitReason: null,
+        qty: orderQty,
+        timestamp: order.timestamp,
         requestedEntryPrice: order.price,
         entryPrice,
-        requestedExitPrice: null,
-        exitPrice: null,
-        grossProfit: 0,
-        netProfit: profit,
-        openFee: fee,
-        closeFee: 0,
-        fundingFee: executionCostModel?.funding.enabled ? 0 : null,
-        totalFee: fee,
-        entrySlippagePrice: entryPrice - order.price,
-        entrySlippageBps: getSlippageBps(order.price, entryPrice),
-        entryBaseSlippageBps: entrySlippageBreakdown.baseSlippageBps,
-        entrySpreadBps: entrySlippageBreakdown.spreadBps,
-        entrySpreadSlippageBps: entrySlippageBreakdown.spreadSlippageBps,
-        entryMarketImpactBps: entrySlippageBreakdown.marketImpactBps,
-        entryDelayRiskBps: entrySlippageBreakdown.delayRiskBps,
-        entrySlippageCost,
-        exitSlippagePrice: null,
-        exitSlippageBps: null,
-        exitBaseSlippageBps: null,
-        exitSpreadBps: null,
-        exitSpreadSlippageBps: null,
-        exitMarketImpactBps: null,
-        exitDelayRiskBps: null,
-        exitSlippageCost: 0,
-        totalSlippageCost: entrySlippageCost
-      } : null;
+        fee,
+        slippageBreakdown: entrySlippageBreakdown,
+        entrySlippageCost
+      });
+      currentEntryLegResults = [openTradeResult];
+      currentTradeResult = currentSignalId ? { ...openTradeResult, signalId: currentSignalId } : null;
       logOrder({
         ...order,
+        qty: orderQty,
         price: entryPrice,
         profit,
         fee,
@@ -1795,6 +1963,7 @@ var testing = async ({
     mlEnabled: ml,
     aiEnabled: ai,
     fastMode: fast,
+    instrument,
     executionCostModel,
     fundingRates
   });
@@ -2205,6 +2374,7 @@ var testingGroupInSharedCandleLoop = async (tests) => {
         mlEnabled: test.ml,
         aiEnabled: test.ai,
         fastMode: test.fast,
+        instrument,
         executionCostModel,
         fundingRates
       });

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@tradejs/node",
-  "version": "2.0.9",
+  "version": "2.0.10",
   "description": "Node-only runtime for the TradeJS TypeScript framework: strategies, backtests, Pine strategy loading, and plugin registries.",
   "keywords": [
     "tradejs",
@@ -67,9 +67,9 @@
   "dependencies": {
     "@langchain/core": "^1.2.3",
     "@langchain/openai": "^1.5.5",
-    "@tradejs/core": "^2.0.9",
-    "@tradejs/infra": "^2.0.9",
-    "@tradejs/types": "^2.0.9",
+    "@tradejs/core": "^2.0.10",
+    "@tradejs/infra": "^2.0.10",
+    "@tradejs/types": "^2.0.10",
     "chalk": "4.1.2",
     "ioredis": "5.11.1",
     "pinets": "0.8.12",